A time-varying empirical spectral process indexed by classes of functions is defined for locally stationary time series. We derive weak convergence in a function space, and prove a maximalâ€¦ (More)

This paper deals with nonparametric maximum likelihood estimation for Gaussian locally stationary processes. Our nonparametric MLE is constructed by minimizing a frequency domain likelihood over aâ€¦ (More)

A novel approach for constructing goodness-of-t techniques in arbitrary ((nite) dimensions is presented. Testing problems are considered as well as the construction of diagnostic plots. The approachâ€¦ (More)

In this paper we are concerned with the estimation of C(c) for a given level c. Such level sets play a crucial role in various scientific fields, and their estimation has received significant recentâ€¦ (More)

Discrimination of time series is an important practical problem with applications in various scientific fields. We propose and study a novel approach to this problem. Our approach is applicable toâ€¦ (More)

Based on empirical Levy-type concentration functions a new graphical representation of the ML-density estimator under order restrictions is given. This representation generalizes the well-knownâ€¦ (More)

This paper analyzes a data mining/bump hunting technique known as PRIM (Fisher and Friedman, 1999). PRIM finds regions in high-dimensional input space with large values of a real output variable.â€¦ (More)

Multivariate mode hunting is of increasing practical importance. Only a few such methods exist, however, and there usually is a trade off between practical feasibility and theoretical justification.â€¦ (More)

In many applications, time series exhibit non-stationary behavior that might reasonably be modeled as a time-varying autoregressive process. In the context of such a model, we discuss the problem ofâ€¦ (More)